The optimal mean-variance investment strategy under value-at-risk constraints (Q2445346): Difference between revisions

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Latest revision as of 09:08, 8 July 2024

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The optimal mean-variance investment strategy under value-at-risk constraints
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    The optimal mean-variance investment strategy under value-at-risk constraints (English)
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    14 April 2014
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    value-at-risk
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    mean-variance portfolio
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    Hamilton-Jacobi-Bellman equation
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    optimal investment strategy
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